Where do you want to go with your string?
Inside JSL the escaped double quote (\!") is needed to let JMP know where the string starts and ends.
But if you display that string in a window, or elsewhere, it is like you desired.
names default to here(1);
clear log();
my_string = "\[Hello
""
World!]\";
show(my_string);
New Window( "String output window",
Text Box( my_string);
);
// Expected
// "Hello
// ""
// World!"
Georg